Information and the intermediary: Are market intermediaries informed traders in electronic markets?

Journal of Financial and Quantitative Analysis

Volumn 43, Issue 1, 2008, Pages 1-28

  Anand, Amber ^a   Subrahmanyam, Avanidhar ^b  

^a SYRACUSE UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 41149088147     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000002738     Document Type: Article

References (42)

1. Anand, A., and S. Chakravarty. "Stealth Trading in Options Markets." Journal of Financial and Quantitative Analysis, 42 (2007), 167-187.
2. Barclay, M.; T. Hendershott; and T. McCormick. "Competition among Trading Venues: Information and Trading on Electronic Communications Networks." Journal of Finance, 58 (2003), 2637-2666.
3. Barclay, M., and J. Warner. "Stealth and Volatility: Which Trades Move Prices?" Journal of Financial Economics, 34 (1993), 281-306.
4. Bessembinder, H., and K. Chan. "Market Efficiency and the Returns to Technical Analysis." Financial Management, 27 (1998), 5-17.
5. Booth, G.; J. Lin; T. Martikainen; and Y. Tse. "Trading and Pricing in Upstairs and Downstairs Stock Markets." Review of Financial Studies, 15 (2002), 1111-1135.
6. Brennan, M., and A. Subrahmanyam. "Investment Analysis and Price Formation in Securities Markets." Journal of Financial Economics, 38 (1995), 361-381.
7. Brock, W.; J. Lakonishok; and B. LeBaron. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns." Journal of Finance, 47 (1992), 1731-1764.
8. Brown, D., and R. Jennings. "On Technical Analysis." Review of Financial Studies, 2 (1989), 527-551.
9. Cao, C.; H. Choe; and F. Hatheway. "Does the Specialist Matter? Differential Execution Costs and Inter-Security Subsidization on the New York Stock Exchange." Journal of Finance, 52 (1997), 1615-1640.
10. Cao, C.; O. Hansch; and X. Wang. "The Information Content of an Open Limit Order Book." Working Paper, Penn State University (2004).
11. Chakravarty, S. "Stealth Trading: Which Traders' Trades Move Stock Prices?" Journal of Financial Economics, 61 (2001), 289-307.
12. Chakravarty, S.; H. Gulen; and S. Mayhew. "Informed Trading in Stock and Options Markets." Journal of Finance, 59 (2004), 1235-1257.
13. Chakravarty, S., and K. Li. "An Examination of Own Account Trading by Dual Traders in Futures Markets." Journal of Financial Economics, 69 (2003), 375-397.
14. Davies, R. "The Toronto Stock Exchange Pre-Opening Session." Journal of Financial Markets, 6 (2003), 491-516.
15. Easley, D., and M. O'Hara. "Price, Trade Size, and Information in Securities Markets." Journal of Financial Economics, 19 (1987), 69-90.
16. Fishman, M., and F. Longstaff. "Dual Trading in Futures Markets." Journal of Finance, 47 (1992), 643-671.
17. Glosten, L., and P. Milgrom. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics, 14 (1985), 71-100.
18. Granger, C. "Tests for Causation: A Personal Viewpoint." Journal of Economic Dynamics and Control, 2 (1980), 329-352.
19. Green, C. "The Value of Client Access to Analyst Recommendations." Journal of Financial and Quantitative Analysis, 41 (2006), 1-24.
20. Griffiths, M.; B. Smith; D. Alasdair; S. Turnbull; and R. White. "The Costs and Determinants of Order Aggressiveness." Journal of Financial Economics, 56 (2000), 65-88.
21. Grundy, B., and Y. Kim. "Stock Market Volatility in a Heterogeneous Agent Economy." Journal of Financial and Quantitative Analysis, 37 (2002), 1-27.
22. Harris, L. "Does a Large Minimum Price Variation Encourage Order Display?" Working Paper, University of Southern California (1996).
23. Hasbrouck, J. "One Security, Many Markets: Determining the Contributions to Price Discovery." Journal of Finance, 50 (1995), 1175-1199.
24. Hasbrouck, J. "Stalking the Efficient Price in Empirical Microstructure Specifications." Journal of Financial Markets, 5 (2002), 329-339.
25. Hasbrouck, J. "Intraday Price Formation in U.S. Equity Index Markets." Journal of Finance, 58 (2003), 2375-2399.
26. Hasbrouck, J., and G. Sorianos. "The Trades of Market Makers: An Empirical Analysis of NYSE Specialists." Journal of Finance, 48 (1993), 1565-1593.
27. Heflin, F., and K. Shaw. "Blockholder Ownership and Market Liquidity." Journal of Financial and Quantitative Analysis, 35 (2000), 621-633.
28. Heidle, H., and X. Li. "Information Leakage and Opportunistic Behavior before Analyst Recommendations: An Analysis of the Quoting Behavior of Nasdaq Market Makers." Working Paper, University of Miami (2004).
29. Hendershott, T., and C. Jones. "Island Goes Dark: Transparency, Fragmentation, and Regulation." Review of Financial Studies, 18 (2005), 743-793.
30. Holden, C., and A. Subrahmanyam. "Long-Lived Private Information and Imperfect Competition." Journal of Finance, 47 (1992), 247-270.
31. Huang, R. "The Quality of ECN and Nasdaq Market-Maker Quotes." Journal of Finance, 57 (2002), 1285-1319.
32. Kothare, M., and P. Laux. "Trading Costs and the Trading Systems for NASDAQ Stocks." Financial Analysts Journal, 51 (1995), 42-53.
33. Kurov, A., and D. Lasser. "Price Dynamics in the Regular and E-Mini Futures Markets." Journal of Financial and Quantitative Analysis, 39 (2004), 365-384.
34. Kyle, A. "Continuous Auctions and Insider Trading." Econometrica, 53 (1985), 1335-1355.
35. Lee, C., and M. Ready. "Inferring Trade Direction from Intraday Data." Journal of Finance, 41 (1991), 733-746.
36. Madhavan, A., and V. Panchapagesan. "Price Discovery in Auction Markets: A Look Inside the Black Box." Review of Financial Studies, 13 (2000), 627-658.
37. Madhavan, A., and S. Smidt. "An Analysis of Changes in Specialist Inventories and Quotations." Journal of Finance, 48 (1993), 1595-1628.
38. Piotroski, J., and D. Roulstone. "The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices." Accounting Review, 79 (2004), 1119-1151.
39. Saar, G. "Investor Uncertainty and Order Flow Information." Working Paper, New York University (2001).
40. Sarin, A.; K. Shastri; and K. Shastri. "Ownership Structure and Stock Market Liquidity." Working Paper, University of Pittsburgh (2000).
41. Smith, B.; A. Turnbull; and R. White. "Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects." Journal of Finance, 56 (2001), 1723-1746.
42. Spiegel, M., and A. Subrahmanyam. "On Intraday Risk Premia." Journal of Finance, 50 (1995), 319-339.